Steam problem

If the milk scalds, you're getting it hot enough. It sounds like you're not incorporating enough air into the milk when frothing.
Make sure that the holes in the tip of the steam wand are clear. Soak in water for 5-10 min. and wipe with a cloth (no abrasives) and clear the holes with a paper clip end. Blow the wand out nice and hard.
How is your steam pressure? It should be about 1.2 bar.
It could also be your technique. The wand should never be more than 3 cm into the milk. For cappuccino froth, keep the tip right at the surface of the milk, lowering the pitcher as the level rises. You should hear a "shushing" sound, no squealing.

Good luck!